Portfolio Immunization and Cash Flow Matching by Frank J. Fabozzi Preloader

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Chapter 19 Portfolio Immunization and Cash Flow Matching. Major learning outcomes:Describe what an immunization strategy is and why it is used.Identify the interest rate risk exposure for a portfolio whose duration is not equal to the duration of a liability.Explain why the key to immunization is constructing a portfolio with a duration equal to a target investment horizon..

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